Jackie Manages a $620 Million Bond Portfolio Which Has a Duration

Jackie manages a $620 million bond portfolio which has a duration of 4.05 years. She wants to hedge the portfolio with Treasury note futures that have a duration of 4.53 years and a futures price of 112. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par. How many contracts does she need to sell to complete this hedge?

A) 4,667 contracts
B) 4,868 contracts
C) 4,949 contracts
D) 5,183 contracts
E) 5,216 contracts

Correct Answer:

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